This paper studies test of hypotheses for the slope parameter in a linear time trend panel data model with serially correlated error component disturbances. We propose a test statistic that uses a bias corrected estimator of the serial correlation parameter. The proposed test statistic which is...

This paper examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter β near the unity at an unknown time k₀. Consider the model y_{t}=β₁y_{t-1}I{t≤k₀}+β₂y_{t-1}I{tk₀}+ε_{t}, t=1,2,⋯,T, where I{⋅} denotes the indicator function. We...

This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng, Kao and Lazarová (2009) to the case of stationary or nonstationary regressors and error term, and whether the change point is present or not. We prove consistency and derive the asymptotic...

In any manufacturing process, identification of changes in the process conditions is of great interest. Recently, a Bayesian approach for the identification of the change in process mean was proposed assuming that the response of interest follow an exponential family distribution. In this...

In this paper we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso (least absolute shrinkage and selection operator ). We show that with probability tending to one our method can correctly determine the unknown number...

Testing of various classes of life distributions has been a subject of investigation for more than four decades. In this study we restrict ourselves to the problem of testing exponentiality against non-monotonic aging notions. We model non-monotonic aging using the notions of bathtub failure...

Maintaining a stable score scale over time is critical for all standardized educational assessments. Traditional quality control tools and approaches for assessing scale drift either require special equating designs, or may be too time-consuming to be considered on a regular basis with an...

In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein–Uhlenbeck process which is defined as the solution of <Equation ID="Equ23"> <EquationSource Format="TEX">$$\begin{aligned} dX_t=(L(t)-\alpha X_t) dt + \sigma dB_t \end{aligned}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink" display="block"> <mrow> <mtable columnspacing="0.5ex"> <mtr> <mtd columnalign="right"> <mrow> <mi>d</mi> <msub> <mi>X</mi> <mi>t</mi> </msub> <mo>=</mo> <mrow> <mo stretchy="false">(</mo> <mi>L</mi> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> <mo>-</mo> <mi mathvariant="italic">α</mi> <msub> <mi>X</mi> <mi>t</mi> </msub> <mo stretchy="false">)</mo> </mrow> <mi>d</mi> <mi>t</mi> <mo>+</mo> <mi mathvariant="italic">σ</mi>...</mrow></mtd></mtr></mtable></mrow></math></equationsource></equationsource></equation>

The quest of the mean change point with innovations in the domain of attraction of a κ-stable law appears to still be ongoing. We adopt the residual CUSUM of squares test (RCUSQ) and derive its null asymptotic distribution, which is dependent on stable index κ. Then a residual-based...